Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
From MaRDI portal
Publication:5452734
Recommendations
- Markov-switching models with endogenous explanatory variables
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Estimation of Markov regime-switching regression models with endogenous switching
- Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
- Estimation of state-space models with endogenous Markov regime-switching parameters
- An extensive study on Markov switching models with endogenous regressors
- An econometric model of the term structure of interest rates under regime-switching risk
- The Term Structure of Interest Rates in a Hidden Markov Setting
- Estimating VAR models for the term structure of interest rates
Cited in
(6)- Asymmetries in the monetary policy reaction function: evidence from India
- Estimation of state-space models with endogenous Markov regime-switching parameters
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Estimating the term premium by a Markov switching model with ARMA-GARCH errors
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- An extensive study on Markov switching models with endogenous regressors
This page was built for publication: Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5452734)
